In addition to Euan's answer (above): it's important to know that although PDF allows you to embed multimedia content in a number of different formats, not all of these formats are natively supported by Acrobat Reader (or Acrobat Professional, for that matter). This means that, depending on the specific format that is used in your PDF, you may have a dependency on an external viewer. See this thread on the Adobe forum for more info (the thread dates back to 2011, but from what I understand the situation hasn't changed):
Also see the PDF format spec (1.7 ISO version, link: http://www.adobe.com/content/dam/Adobe/en/devnet/acrobat/pdfs/PDF32000_2008.pdf), which says (section 13.2.1):
PDF 1.5 introduces a comprehensive set of language constructs to enable the following capabilities:
Arbitrary media types may be embedded in PDF files.
Embedded media, as well as referenced media outside a PDF file, may be played with a variety of player software. (In some situations, the player software may be the conforming reader itself.)
So this basically means you could encounter any audio/video format in a PDF, and from a practical point of view this rather complicates maintaining access to the interaction software, mainly because you may be needing several different players (depending on the formats of the embedded files).
There's some further info on this that may be useful on Adobe's help page:
Finally here's just one example:
This PDF has an embedded Quicktime video. If I open it in Acrobat XI Pro and then click on the image, a dialog window pops up that tells me an external media player is needed to play the file.
Funnily enough, clicking on the Get Media Player button takes me to http://cgi.adobe.com/special/acrobat/mediaplayerfinder/mediaplayerfinder.cgi?, which tells me "Sorry, browsing is not allowed in this directory"! Also, in Edit/Preferences are some settings related to the rendering of multimedia content. You can select a preferred player from a drop-down list, but the number of items on that list is limited, and it doesn't include all media players on my PC. I can't really figure out how to tell Acrobat of any players that aren't in the pre-populated list, which in this particular case means I can't even get a simple Quicktime movie working! I think this is a bit worrying...